In this paper we follow a different approach by taking a first step towards an option valuation model which does not explicitly make use of unobservable State variables. Instead of using a stochastic variance variable directly, we assume that the variance of stock returns is determined by the...

In this paper we examine small sample properties of a generalized method of moments (GMM) estimation using Monte Carlo simulations. We assume that the generated time series describe the stochastic variance rate of a stock index. We use a mean reverting square-root prooess to simulate the...

In this paper we follow a different approach by taking a first step towards an option valuation model which does not explicitly make use of unobservable State variables. Instead of using a stochastic variance variable directly, we assume that the variance of stock returns is determined by the...

In this paper we follow a different approach by taking a first step towards an option valuation model which does not explicitly make use of unobservable State variables. Instead of using a stochastic variance variable directly, we assume that the variance of stock returns is determined by the...

In this paper we examine small sample properties of a generalized method of moments (GMM) estimation using Monte Carlo simulations. We assume that the generated time series describe the stochastic variance rate of a stock index. We use a mean reverting square-root prooess to simulate the...

Das bekannte Modell von Black und Scholes zur Bewertung von Aktienoptionen weist verschiedene Schwächen auf, die sich aus der angenommenen Konstanz der Volatilität ergeben. Erst zwanzig Jahre nach der Entwicklung dieses Modells ist es Heston gelungen, eine analytische Bewertungsformel für ein...